2017
DOI: 10.1504/ijfmd.2017.10007830
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Intraday price discovery in Indian stock index futures market: new evidence from neural network approach

Abstract: Using neural network approach, this study revisits the price discovery relationship between spot and futures prices of S&P CNX Nifty Index of India. This study uses minute-by-minute data of 167 trading days (from January 2015 to August 2015). Empirical results reveal that there exists a bi-directional lead-lag relationship between spot and futures markets, but the causality from the spot market to the futures market is more dominant as compared to that of running from the futures market to the spot market. Roo… Show more

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